A Lily is a flowering plant found in many locations across the world.
The Assassin Dmitrij Volkov would use the Red Lily as his calling card. Wearing one on his suit as well as leaving it on or near one of his victims after he has killed them. When Mr. Jones mentioned that they had found Lilies near killed UNITY agents, that tipped off both Bruno Lawrie and Cate Archer that Volkov was behind the assassinations.
Later in Monte Carlo, Monaco, Volkov used an Umbrella to poke Commissioner Maurice Albert (secretly injecting him with Dr. Otto Shenker's Bio-weapon). Volkov stated "Au Revoir" and handed him a Lily. After Commissioner Albert arrived at Club Metropole, the bio-weapon caused him to explode.
Lily on Wikipedia